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Q58Section B (Part B)58 of 120

Partial correlation for a linear transform of independent normals

Suppose (X1X2X3)∼N3 ⁣((000),(100010001))\begin{pmatrix}X_1\\X_2\\X_3\end{pmatrix}\sim N_3\!\left(\begin{pmatrix}0\\0\\0\end{pmatrix},\begin{pmatrix}1&0&0\\0&1&0\\0&0&1\end{pmatrix}\right) and (XYmathbbZ)=(300220404)(X1X2X3)\begin{pmatrix}X\\Y\\mathbb{Z}\end{pmatrix}=\begin{pmatrix}3&0&0\\2&2&0\\4&0&4\end{pmatrix}\begin{pmatrix}X_1\\X_2\\X_3\end{pmatrix}. Then the partial correlation coefficient ρYZ⋅X\rho_{YZ\cdot X} is

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